Anyways, the easiet way is compleatly shut it down (right click, exit, Ctrl Alt Del and stop anything there) then go to My Computer, C, Program Files and find the directory called Messenger and change it’s name to something else. If it won’t let you change the name it’s still running. Once you change the name windows won’t be able to find it anymore and it’ll stop running.
If you are talking about the folder c:\program files\messenger then it’s pretty safe to rename it.
Personally, I would suggest you use one of the Microsoft supported ways of stopping this. You can follow my post above, or if you really hate it you should be able to open Control Panel, select Add/Remove Components. Select Windows Components and scroll to the bottom of the list. There should be an option for Windows Messenger with a size of 0.00 bytes. If you untick this, it will remove Messenger from your desktop which should stop it running too.
You aren’t 100% guaranteed to have this option though, depending on service pack level, windows version and phase of the moon. It was put in as a result of one of the many anti-trust kickings MS received.